Abstract

Linear Vector Autoregressive Models have been widely used to estimate the responses of economic variables to shocks such as monetary policy or oil prices shocks (impulse response functions). Recently, there has been a wide interest in estimating models that allow for nonlinearities. Examples include models that allow for different responses to positive and negative shocks (signs), different responses to small and large shocks (size) and different responses depending on the state of the economy (expansion or recession). Adding non linearities to VARs add a level of complexity that is important to keep in mind when estimating impulse response functions (IRFs). I will discuss the challenges to estimate IRFs in nonlinear models in general, recommend some suggestions and give a few practical examples.

Relatrice: Professoressa Elena Pesavento, Full Professor, Department of Economics, Emory University

Short Bio

Elena Pesavento is a Full Professor in the Department of Economics at Emory University. She holds a BS in Statistics from the University of Padua and a Ph.D. in Economics from the University of California, San Diego. Her research specializes in Time Series Analysis, focusing on inference and testing in Vector Autoregressive (VAR) models. Her scholarly work explores the challenges of inference when variables exhibit non-stationarity (unit roots, cointegration, or structural breaks), as well as high persistency (local to unity). More recently, the focal point of her research is the analysis of non-linear models, concentrating on the identification and estimation of impulse response functions in non-linear VARs.

With a BS in Statistics, her passion for making statistics accessible and engaging for students inspires her teaching of both the undergraduate and graduate level. Elena’s commitment to education is matched by her dedication to faculty governance at Emory, where she has held various leadership roles within the Emory College. She currently serves as the Director of the Economics Department’s Women in Leadership Program, which is dedicated to inspiring and equipping the next generation of leaders with essential leadership skills.

Outside of her academic life, Elena is an avid dog agility competitor, channeling the same discipline and enthusiasm she brings to her research into her sport.